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Citibank N.A. seeks a Model/Anlys/Valid Officer for its Tampa, FL location. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite in accordance with Citi policies and protocols.
Job Responsibility:
Develop, enhance, and validate the methods of measuring and analyzing risk
Develop, validate and strategize uses of scoring models and scoring model related policies
Manage model risk across the model life cycle including model validation, on-going performance evaluation and annual model reviews
Conduct analysis and package it into detailed technical document reports for validation purposes sufficient to meet regulatory guidelines and exceed industry standards
Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls
Present model validation findings to senior management and supervisory authorities
Provide effective challenge to model assumptions, mathematical formulation, and implementation
Requirements:
Master’s degree, or foreign equivalent, in Mathematics, Physics, Statistics, Engineering, or a related field
Two (2) years of experience in the job offered or a related quantitative occupation developing market risk models in the financial services industry
Two (2) years of experience must include: Developing market risk models to quantify the market risk exposures of trading books and calculating regulatory capital
Implementing risk management frameworks (VAR, stress testing) and regulatory capital models (Basel III/IV, FRTB) using statistical and econometric techniques
Program language Python, R, Structured Query Language (SQL), and Windows/Linux language commands
Calibrating model parameters and performing variance analysis to explain the changes in model output due to parameter updates
Performing ongoing analysis of models, including back testing and profit attribution analysis (PAA)
Skill and experience on processing large-scale data and simulations using parallel computing in windows or Linux server environment
What we offer:
medical, dental & vision coverage
401(k)
life, accident, and disability insurance
wellness programs
paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays
discretionary and formulaic incentive and retention awards